Stochastic integration with respect to Gaussian processes

被引：6
|
作者：
Decreusefond, L [1 ]
机构：
[1] ENST, F-75634 Paris 13, France
来源：
COMPTES RENDUS MATHEMATIQUE | 2002年 / 334卷 / 10期
关键词：
D O I：
10.1016/S1631-073X(02)02360-9
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We construct a Stratonovitch-Skorohod-like stochastic integral for general Gaussian processes. We study its sample path regularity and one of its numerical approximating schemes. We also analyze the way it is transformed by an absolutely continuous change of probability and we give an 116 formula. (C) 2002 Academie des science/Edition scientifiques et medicales Elsevier SAS.
引用
收藏
页码：903 / 908
页数：6
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